The Seventh Public Investors Conference proceedings

Since 2008, the Bank for International Settlements and the World Bank have organised - jointly with cosponsoring central banks - the Public Investors Conference to discuss policy issues, quantitative methods and current challenges for central banks, sovereign wealth funds and public pension plans. This volume covers many of the advances in the practice of public investment management presented at the Conference.

This volume is the first of a biennial series that is edited by staff members of the cosponsoring institutions and is published by the BIS. It is organised into four parts, each covering one of the major topics discussed over the course of the Seventh Public Investors Conference.

Front Matter

Preface
by E. Bouyé, N. Bulusu, M. Fanari, P. Ferrauto, M. McMorrow, S. Pan, T. Perez, V. Sahakyan and O. Zulaica i

Part 1. Central Bank Reserve Management

The strategic asset allocation of the investment portfolio in a central bank
by Marco Fanari and Gerardo Palazzo, Banca D'Italia 1
Are central banks too risk-averse?
by Massimiliano Castelli, UBS Asset Management
Stefan Gerlach, EFG International 23

Part 2. Sustainability Considerations for Official Institutions

ESG investing: practical considerations for public investors
by Ulrike Elsenhuber and Adela Skenderasi, Bank for International Settlements 45
ESG investments: filtering versus machine learning approaches
by Carmine de Franco and Bruno Monnier, Ossiam
Christophe Geissler and Vincent Margot, Advestis 57
BlackRock vs Norway Fund at shareholder meetings: institutional investors' votes on corporate externalities
by Marie Brière, Amundi Asset Management
Sébastien Pouget, Toulouse School of Economics
Loredana Ureche-Rangau, University of Picardie Jules Verne 81

Part 3. Portfolio Construction

Robust optimisation by constructing near-optimal portfolios
by Martin van der Schans, Ortec Finance 111
Strategic asset allocation from theory to practice: new decision-support tools
by Golan Benita and David Hoffman, Bank of Israel 125
Portfolio optimisation problems with hard-to-optimise objective functions
by Martin Vesely, Czech National Bank 143

Part 4. Risk Management

Stealing others' strategies: lessons on model risk
by David Jamieson Bolder, The World Bank 169
Model risk: a novel approach using a category-oriented framework
by Paulo Cacella, Banco Central do Brasil 183
An alternative approach to measuring the liquidity risk of public investors' investment assets
by David Doran, Steve Kilkenny, Šarūnas Ramanauskas, and Alex Shablov,
Central Bank of Ireland 197

Back to previous conference proceedings.